Using Aggregated Daily Bars to Calculate Strategy Indicators
Summary
This brief VeighNa forum exchange discusses how to calculate indicators that need multiple days of history, such as 30-day and 60-day moving averages. One participant considers storing daily OHLCV data in a database or CSV file and loading it before the trading session to calculate the indicators.
A respondent suggests using an available data service to aggregate incoming data into daily bars, then calculating indicator values through VeighNa’s array manager. The exchange offers a practical implementation direction, but does not provide setup details, code, or a comparison of the two approaches. It also does not discuss data availability, bar construction rules, or how to handle missing or incomplete daily bars, so those details need to be resolved in a specific system.
Key ideas
- Daily OHLCV history can be stored locally and loaded to calculate rolling indicators.
- A data service can provide input for aggregating daily bars within a strategy.
- VeighNa’s array manager can calculate indicators from the resulting daily bars.
- The exchange gives no implementation details or guidance on data quality and bar construction.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.